Go whale-watching. Tours from Pico or Faial last about 3–4hrs and are great value. You can even help the local oceanography department by photographing each whale you see for identification. The islands, once dependent on whale-hunting, are converting old whaling stations into museums and old whalers into tour guides.
Hire a car and explore São Miguel, the largest and greenest of the islands, with a lovely mix of volcanic peaks, tiny villages and flower-strewn meadows, making it a great place for family walks or picnics.
Visit the extinct volcano on lovely Graciosa – you can climb down to the very bottom of the crater, then treat yourself to a treatment in the Carapacho thermal spa with its family Jacuzzi.